Research on the Applicability of Fama-French Five-factor Model in Chinese A-share Market

DOI

10.2991/iccese-18.2018.204How to use a DOI?

Keywords

capital asset pricing; Fama-French three-factor model; Fama-French five-factor Model

Abstract

Chinese securities market is still in the stage of development, Fama-French three-factor model is widely considered to be applicable in Chinese A-share Market, and the explanation ability of Fama-French five-factor model need to be researched. From empirical perspective, this paper takes 495 Shanghai A-share as samples, selected in May 2005 to April 2015 as the research range; the results show that Fama-French five-factor model is applicable in China stock market, but the explanation ability less than three-factor model. It provides reference for the capital asset pricing model in China.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yanliang Zhang
AU  - Fanhao Li
AU  - Yue Gong
PY  - 2018/03
DA  - 2018/03
TI  - Research on the Applicability of Fama-French Five-factor Model in Chinese A-share Market
BT  - Proceedings of the 2nd International Conference on Culture, Education and Economic Development of Modern Society (ICCESE 2018)
PB  - Atlantis Press
SP  - 894
EP  - 898
SN  - 2352-5398
UR  - https://doi.org/10.2991/iccese-18.2018.204
DO  - 10.2991/iccese-18.2018.204
ID  - Zhang2018/03
ER  -